2012年7月
Uncertainty Aversion and Portfolio Inertia
Bulletin of Economic Research
- 巻
- 64
- 号
- 3
- 開始ページ
- 334
- 終了ページ
- 343
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1111/j.1467-8586.2010.00366.x
- 出版者・発行元
- WILEY-BLACKWELL
In stock markets, we often observe portfolio inertia, i.e., a situation in which some stocks are not traded or not priced for a few minutes or longer. This is neither an exceptional situation in which some stock price soars too high to be priced, nor the one where some stock price plummets too much to be traded. By introducing the concept of Knightian uncertainty, Dow and Werlang (1992) account for the existence of portfolio inertia, which has not been accounted for under the concept of risk. This paper provides a characterization of the spread between buying and selling prices based on a parameter proposed by Ozaki and Streufert (1999, 2001) that enables us to estimate the attitude towards Knightian uncertainty, and shows that an increase (a decrease) in Knightian uncertainty expands (shrinks) the interval in which an investor never changes her initial position. Furthermore, we analyse the effect of an increase in Knightian uncertainty on portfolio inertia based on Epsilon-contaminations.
- リンク情報
-
- DOI
- https://doi.org/10.1111/j.1467-8586.2010.00366.x
- Web of Science
- https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:000305991600003&DestApp=WOS_CPL
- URL
- https://onlinelibrary.wiley.com/doi/full/10.1111/j.1467-8586.2010.00366.x
- ID情報
-
- DOI : 10.1111/j.1467-8586.2010.00366.x
- ISSN : 0307-3378
- Web of Science ID : WOS:000305991600003